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Is systematic default risk priced in equity returns? : a cross-sectional analysis using credit derivatives prices /
This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In contrast t...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Monetary and Financial Systems Dept.,
©2006.
|
| Colección: | IMF working paper ;
WP/06/148. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Chan-Lau, Jorge A., |e author. | |
| 245 | 1 | 0 | |a Is systematic default risk priced in equity returns? : |b a cross-sectional analysis using credit derivatives prices / |c Jorge A. Chan-Lau. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Monetary and Financial Systems Dept., |c ©2006. | ||
| 300 | |a 1 online resource (16 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/06/148 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In contrast to studies by Fama and French (1993, 1996) and Vassalou and Xing (2004), this paper uses a market-based measure of systematic default risk. The measure is constructed using price information from credit derivatives prices, namely the spreads of standardized single-tranche collateralized debt obligations on credit derivatives indices. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK -- III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES -- IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS? -- V. CONCLUSIONS -- REFERENCES | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Corporations |x Valuation |x Econometric models. | |
| 650 | 0 | |a Credit derivatives |x Prices |x Econometric models. | |
| 650 | 0 | |a Default (Finance) |x Econometric models. | |
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 0 | |a Business enterprises |x Valuation |x Econometric models. | |
| 650 | 6 | |a Défaillance (Finances) |x Modèles économétriques. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 6 | |a Instruments dérivés de crédit |x Prix |x Modèles économétriques. | |
| 650 | 6 | |a Entreprises |x Évaluation |x Modèles économétriques. | |
| 650 | 6 | |a Sociétés |x Évaluation |x Modèles économétriques. | |
| 650 | 7 | |a Corporations |x Valuation |x Econometric models |2 fast | |
| 650 | 7 | |a Default (Finance) |x Econometric models |2 fast | |
| 650 | 7 | |a Risk |x Econometric models |2 fast | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Financial Systems Department. | |
| 776 | 0 | 8 | |i Print version: |a Chan-Lau, Jorge A. |t Is systematic default risk priced in equity returns?. |d Washington, D.C. : International Monetary Fund, Monetary and Financial Systems Dept., ©2006 |w (OCoLC)75195806 |
| 830 | 0 | |a IMF working paper ; |v WP/06/148. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014452 |z Texto completo |
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